. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided … into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second … dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

parallel to the implementation of Basel III, a non-risk-sensitive leverage ratio and new liquidity standards are introduced. I … their voluntary liquidity reserves, or in combination with a binding liquidity coverage ratio requirement, to shrink the …

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized … by exogenously failing a bank and then investigate the likelihood of an individual bank failing. Most notably we find … that the probability of a bank failing depends on the characteristics of the network of interbank loans and the market …

We propose a novel theory of banks' liquidity management and financial fragility. Banks hold liquidity and an illiquid … depositors are sufficiently risk averse, banks manage their liquidity needs during runs following an endogenous pecking order …: they first deplete liquidity, and then liquidate the productive asset. Thus, under these conditions banks subject to runs …